Ownership networks and aggregate volatility

Lorenzo Burlon

No 1157, 2015 Meeting Papers from Society for Economic Dynamics

Abstract: We study how aggregate volatility is influenced by the propagation of idiosyncratic shocks across firms through the network of ownership relations. To this purpose, we use detailed data on cross-holdings as well as relevant balance sheet information for almost the universe of Italian limited liability firms over the period 2005-2013. We first document that the ownership network matters for the correlation across firms' sales. Then, we construct a model where firms are linked through ownership relations and have limited access to credit markets. We characterize key features of the network structure that are relevant for the dynamics of the economy. A calibration to key features of the Italian economy shows that the model-implied volatility can account for a sizable percentage of actual GDP fluctuations. Moreover, we conduct a counterfactual exercise to isolate the role played by the network structure alone in the propagation of idiosyncratic shocks to the aggregate level.

Date: 2015
New Economics Papers: this item is included in nep-dge and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2015/paper_1157.pdf (application/pdf)

Related works:
Working Paper: Ownership networks and aggregate volatility (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed015:1157

Access Statistics for this paper

More papers in 2015 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().